Credit risk
All platforms
Electronic trading: Profiles
Wealthy Europe gears up with hedge fund exposure
Wealth management
The AsiaRisk derivatives poll 2003
Interbank poll
A new direction
Equity/credit hybrids
Adding complexity
CDOs of CDOs
A one-way market
South Korea
Looking for momentum
Securitisation
No Nera for Fitch
credit rating
Mind the gap
Credit Risk
Compressing Asian spreads
CDS market
The ultimate stress-test: modelling the next liquidity crisis
What would happen if one of the world's largest investment banks pulled out of derivatives? Risk managers at Deutsche Bank and JP Morgan Chase are already building this scenario into their stress-tests, and regulators want other banks to do the same.
Tri-party repo push for Europe
Europe's tri-party repo market may be ready to take off, thanks to the combination of tighter credit conditions and the provision under Basel II, the new Accord on bank regulatory capital, for lower charges on collateralised financing.
A-IRB is overly prescriptive, say US banks
Several US banks would like to see a full internal models-based approach to regulatory capital. According to their response to the Advance Notice of Proposed Rulemaking (ANPR) on the implementation of the new Basel Capital Accord, the banks said the…
Using the grouped t-copula
Student-t copula models are popular, but can be over-simplistic when used to describe credit portfolios where the risk factors are numerous or dissimilar. Here, Stéphane Daul, Enrico De Giorgi, Filip Lindskog and Alexander McNeil construct a new,…
Return of the loan market
Leveraged loans
Index infighting breaks out
News exclusive
Tri-party repo push for Europe
New Angles
Index infighting
indices